Exchange Information

Location

The London Stock Exchange (LSE), located in London, merged
with Borsa Italiana in 2007 to create the LSEG (London Stock Exchange
Group). In 2008, LSEG formed a partnership with Oslo Bors to provide
access to the Norwegian derivatives markets.

Exchange API Interface

The LSE Gateway provides access to the LSE, Oslo Bors, and
IDEM exchange products via the SOLA platform by connecting to the
following interfaces:

SOLA® Access
Information Language (SAIL): The Order Server connects via the SAIL
protocol to the SOLA Routing Engine, which runs as an interface
to the SOLA Trading Engine server for order management.

High Speed Vendor Feed (HSVF): The Price Server connects
to the SOLA Routing and Trading Engines for prices via HSVF, which
is a TCP-based market data protocol.

Matching and Clearing

UnaVista is located in London and is the London Stock Exchange
Group's global hosted platform for all matching, validation and
reconciliation needs. LSE matches orders by price/time priority
(FIFO) matching algorithms.

Market States

The TT market states occur during the regular and extended
trading sessions for LSE, IDEM, and Oslo Bors. The following table
describes the exchange states and how they map to the TT market
states.

Exchange State Mapping

Exchange State

TT Market State

Description

Pre-Opening

PRE-OPEN

Order
Entry: Traders can enter, change, and cancel orders, but
no matching occurs. Market on Open (MOO) orders are accepted, but
not required to calculate a Theoretical Opening Price (TOP).

Market Data: Accepted orders
are used to determine a theoretical opening price for the instruments/contracts
that use this procedure. The exchange provides a Theoretical Opening
Price (TOP) that the LSE Gateway sends as the Indicative Open Price,
a Theoretical Opening Quantity (TOQ) that the gateway sends as the
Indicative Open Quantity. The gateway also sends the PRE-OPEN market
state to X_TRADER®, which displays it in the S column of the Market Grid.

State Changes: Occurs prior
to the Opening phases of the early and regular trading sessions.

Opening

OPENING AUCTION

Order Entry: Traders can enter orders, but cannot delete
or change orders. No matching occurs.

Market Data: Accepted orders
are used to determine a theoretical opening price for the instruments/contracts
that use this procedure. The exchange provides a Theoretical Opening
Price (TOP) that the LSE Gateway sends as the Indicative Open Price,
a Theoretical Opening Quantity (TOQ) that the gateway sends as the
Indicative Open Quantity.

State Changes: Occurs prior
to the Opening phases of the early and regular trading sessions.

Trading Session

OPEN

Order
Entry: Normal order entry, modification, and cancellation
permitted and matching occurs.

Market Data: All filled
orders update Last Traded Price and Last Traded Quantity. In addition,
only prices in the Open state affect the High/Low prices for the
trading day. Resting market and limit orders are matched at the
price calculated by the exchange when the market moves from Pre-Open
and No-cancellation to Open.

State Changes: Remains
open until end of trading session (Closing state).

Reserved

RESERVE

Order Entry: Order cancellations only.

Closing, Forbidden, Consultation

CLOSE

Order
Entry: No order actions (new, change, delete) permitted
and no matching occurs.

Market Data: The daily
closing price is the price at which the greatest possible volume
can be matched in the respective contract.

State Changes: The trading
period ends with the Closing state, then moves to Closed.

Post Trading

POST-TRADING

Gateway Minimum Supported Versions

The LSE Gateway has the following TT Client dependencies (also
refer to the gateway Release Notes):

LEGAL

FOLLOW

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